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Optimal reinsurance with expectile under the Vajda condition
Chen, Yanhong - In: Journal of risk 23 (2020/2021) 1, pp. 113-144
Persistent link: https://www.econbiz.de/10012500128
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Comparing risk measures when aggregating market risk and credit risk using different copulas
Maciag, Jakob; Hesse, Frederik; Boeve, Rolf; Pfingsten, … - In: Journal of risk 18 (2016) 5, pp. 101-136
Persistent link: https://www.econbiz.de/10011598393
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Outperforming benchmarks with their derivatives : theory and empirical evidence
Balbás de la Corte, Alejandro; Balbás, Beatriz; … - In: Journal of risk 18 (2015/2016) 4, pp. 25-52
Persistent link: https://www.econbiz.de/10011578371
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The hidden risk of optimizing bond portfolios under VaR
Winker, Peter; Maringer, Dietmar G. - In: Journal of risk 9 (2006/07) 4, pp. 1-19
Persistent link: https://www.econbiz.de/10003648357
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Empirical likelihood for value-at-risk and expected shortfall
Baysal, Rafet Evren; Staum, Jeremy - In: Journal of risk 11 (2008/09) 1, pp. 3-32
Persistent link: https://www.econbiz.de/10003775644
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A conditional approach for risk estimation
Mendes, Beatriz Vaz de Melo - In: Journal of risk 11 (2008/09) 1, pp. 33-55
Persistent link: https://www.econbiz.de/10003775645
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An estimation-free, robust conditional value-at-risk portfolio allocation model
Jabbour, Carlos; Peña, Javier F.; Vera, Juan C.; … - In: Journal of risk 11 (2008/09) 1, pp. 57-78
Persistent link: https://www.econbiz.de/10003775648
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Estimation and decomposition of downside risk for portfolios with non-normal returns
Boudt, Kris; Peterson, Brian; Croux, Christophe - In: Journal of risk 11 (2008/09) 2, pp. 79-103
Persistent link: https://www.econbiz.de/10003809417
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Measure of financial risk using conditional extreme value copulas with EVT margins
Ghorbel, Ahmed; Trabelsi, Abdelwahed - In: Journal of risk 11 (2008/09) 4, pp. 51-85
Persistent link: https://www.econbiz.de/10003881605
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Kernel quantile-based estimation of expected shortfall
Yu, Keming; Ally, Abdallah K.; Yang, Shanchao; Hand, D. J. - In: Journal of risk 12 (2009/10) 4, pp. 15-32
Persistent link: https://www.econbiz.de/10003995401